例子:市场模型 r1=a1+B1r7+ 这里 7=在给定的时间区间,证券i的回报率 7=在同一时间区间,市场指标1的回报率 ai=截矩项 i=斜率项 E 0 En=随机误差项
例子：市场模型 • 这里 • =在给定的时间区间，证券 i 的回报率 • =在同一时间区间，市场指标 I 的回报率 • =截矩项 • =斜率项 • =随机误差项， i i I i I I i I r = + r + i r I r iI iIiI E iI = 0
例子:Fler公司股票的下一个月回报率 R=R+U 这里 R表示实际月回报率 R表示期望回报率 U表示回报率的非期望部分 期望回报率是市场中投资者预期到的回报率,依赖于投资 者现在获得地关于该种股票的所有信息,以及投资者对何 种因素影响回报率地全部了解
例子：Flyer公司股票的下一个月回报率 – 这里 – 表示实际月回报率 – 表示期望回报率 – 表示回报率的非期望部分 • 期望回报率是市场中投资者预期到的回报率，依赖于投资 者现在获得地关于该种股票的所有信息，以及投资者对何 种因素影响回报率地全部了解。 R = R +U R R U
回报率的非期望部分由下一个月内显示地信息导致,例如 News about Flyers research Government figures released on the gross national product(GNP) Results of the latest arms-control talks Discovery that a rivals product has been tampered with News that Fleyers'sales figures are higher than expected A sudden drop in interest rates The unexpected retirement of Flyers founder and president
• 回报率的非期望部分由下一个月内显示地信息导致，例如 – News about Flyers’research – Government figures released on the gross national product (GNP) – Results of the latest arms-control talks – Discovery that a rival’s product has been tampered with – News that Fleyers’sales figures are higher than expected – A sudden drop in interest rates – The unexpected retirement of Flyers’founder and president
Announcement=Expected part Surprise The expected part of any announcement is part of the information the market uses to form the expectation of the return on the stock The surprise is the news that influences the unanticipated return on the stock When we speak of news then we refer to the surprise part of any announcement and not the portion that the market has expected and therefore e has already discounted The unanticipated part of return---that portion resulting from surprise---is the true risk of any Investment
Announcement = Expected part + Surprise – The expected part of any announcement is part of the information the market uses to form the expectation of the return on the stock. – The surprise is the news that influences the unanticipated return on the stock. When we speak of news, then, we refer to the surprise part of any announcement and not the portion that the market has expected and therefore has already discounted. The unanticipated part of return---that portion resulting from surprise---is the true risk of any investment
R=R+U=R+m+8 这里 m systematic factor 8 firm factor
– 这里 – systematic factor – firm factor R = R +U = R + m + m